Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0278 |
| Annualized Std Dev | 0.2819 |
| Annualized Sharpe (Rf=0%) | -0.0986 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5570.0000 |
| NAs | 1.0000 |
| Minimum | -0.1564 |
| Quartile 1 | -0.0082 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0090 |
| Maximum | 0.1528 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0003 |
| Stdev | 0.0178 |
| Skewness | -0.4045 |
| Kurtosis | 7.4880 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0130 |
| Gain Deviation | 0.0119 |
| Loss Deviation | 0.0139 |
| Downside Deviation (MAR=210%) | 0.0176 |
| Downside Deviation (Rf=0%) | 0.0130 |
| Downside Deviation (0%) | 0.0130 |
| Maximum Drawdown | 0.7512 |
| Historical VaR (95%) | -0.0276 |
| Historical ES (95%) | -0.0435 |
| Modified VaR (95%) | -0.0285 |
| Modified ES (95%) | -0.0544 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-05-08 | 2020-03-16 | NA | -0.7512 | 3493 | 3237 | NA |
| 1999-01-07 | 2001-09-21 | 2006-05-09 | -0.5841 | 1827 | 677 | 1150 |
| 2006-05-11 | 2006-06-13 | 2006-08-29 | -0.1133 | 77 | 23 | 54 |
| 2007-02-20 | 2007-03-05 | 2007-04-03 | -0.0797 | 31 | 10 | 21 |
| 2006-12-20 | 2006-12-22 | 2007-02-07 | -0.0369 | 32 | 3 | 29 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | -0.2 | -1.2 | 0.5 | 0 | 0 | -1.5 | 2.2 | 1.2 | 1.7 | -0.6 | 1.7 | 0.5 | 4.2 |
| 2000 | 0.8 | 0.5 | -0.2 | 0.5 | 1.3 | 2 | -0.7 | 2.8 | -0.6 | 0.3 | -1.9 | 0.6 | 5.2 |
| 2001 | 0.7 | 0.2 | 1.8 | 0.9 | -1 | 0.6 | 0 | -1.3 | -2 | 1 | -0.1 | 0.6 | 1.4 |
| 2002 | 0.3 | -0.3 | 1.1 | 1.6 | -1.2 | 1.7 | -2 | -1.1 | 0.8 | -0.6 | 4.8 | 0 | 5.1 |
| 2003 | 1.1 | 1.6 | 0.9 | 0 | 0.9 | -1.6 | -0.4 | 0 | 1.8 | 0.7 | 2.4 | -0.4 | 7.2 |
| 2004 | -0.9 | 1.5 | 0.9 | 0.7 | 0.3 | -0.6 | 0.1 | 0.9 | 2 | -0.2 | 1.8 | -0.2 | 6.4 |
| 2005 | 1 | -0.5 | -0.8 | 0.5 | 0.4 | -0.8 | 0.7 | 1.5 | -0.7 | -0.2 | 1.2 | -0.9 | 1.5 |
| 2006 | 0.1 | 0.4 | -0.7 | -0.5 | 0.9 | 0.3 | -0.4 | 0.5 | -0.3 | 0.1 | -0.5 | 0.2 | -0.1 |
| 2007 | -0.2 | -1.8 | 0.3 | 0.1 | -0.7 | 0.5 | 0.5 | 1.4 | 2.2 | -2.8 | 0.1 | -1.9 | -2.4 |
| 2008 | 0.1 | -2.6 | 2.4 | 0.7 | 1.1 | -1 | -0.8 | -0.4 | 0.6 | 1 | -9.2 | 0 | -8.2 |
| 2009 | -1.7 | -0.9 | 1.7 | 2.1 | 2.4 | 1.5 | 0.3 | -3 | -2.8 | -4.7 | 2.7 | -0.9 | -3.7 |
| 2010 | 2.4 | 0.5 | 2 | -1.5 | -2.6 | 2.9 | -0.4 | 4.3 | 0.8 | -1.8 | 4 | 1.2 | 12.2 |
| 2011 | 3.3 | -1.8 | 0.7 | 0.5 | -2.7 | 1.6 | -3.6 | -1.6 | -3.9 | -7 | -0.5 | -0.1 | -14.4 |
| 2012 | 2.2 | 3.3 | 0.5 | 0.5 | -1.6 | 8.4 | 0 | 2.8 | 2 | 1.9 | -0.2 | 2.2 | 24.1 |
| 2013 | 0.6 | -1.5 | -1.4 | -1.4 | -2.6 | 1.6 | 2.3 | -1.2 | 2.5 | -1.4 | 0.7 | 0.4 | -1.5 |
| 2014 | -1.1 | 0.5 | 1.4 | -0.1 | 0.5 | 1.4 | -0.6 | 0.1 | -1.3 | 2.3 | -1 | -0.8 | 1.3 |
| 2015 | -1.7 | 0.5 | 1.3 | 1.5 | -0.4 | 1.3 | 1.1 | -2.6 | -0.3 | -0.1 | 0.2 | -1.6 | -0.8 |
| 2016 | -0.3 | 3.5 | -1.3 | 0.4 | -0.6 | -0.3 | -2.2 | 0.7 | 1.9 | -1 | 1.1 | 0.5 | 2.3 |
| 2017 | 0 | 1.6 | 0.4 | 0.5 | 1.3 | 0 | 0.4 | 0.5 | 0.8 | 0.5 | -0.5 | -0.8 | 4.8 |
| 2018 | 1.2 | -0.4 | 0.6 | -0.4 | 0.2 | 1.2 | -2 | -1.5 | -0.6 | 2 | -0.3 | 0.4 | 0.2 |
| 2019 | -0.8 | 0.6 | 1 | -0.8 | -0.9 | -0.7 | -0.4 | -0.4 | -1 | 1.2 | -0.9 | 0.4 | -2.7 |
| 2020 | -2.6 | -0.5 | -4.3 | -2 | 2.6 | -0.1 | -2.2 | -0.3 | 0.5 | -0.2 | 1.8 | -1.1 | -8.3 |
| 2021 | 1.3 | 1.9 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.2 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
